i shoot just about everything in color before converting to bw in the computer. tt way u have more control over the feel of the final image. its also good if u suddenly want something shot in color but dont have the time to change settings back to colour before shooting.
just to clarify, B+W is a brand that makes filters. and theres no such thing as a black and white filter. however, IF you shoot B&W for film, u might want to consider using red/yellow/green filters which will emphasize certain tones in your final image. i believe this can be done in photoshop if you shoot digital.
there is just about no upside to using the BW setting in camera. if anything, its probably worse. but just note that i ve found that if you shoot a colour pic and then convert to BW, you ll end up aout 0.7-1EV over exposed so shooting raw is the best option